Winners and losers from Pfizer and Biontech’s vaccine announcement: Evidence from S&P 500 (Sub)sector indices

This study explores how the US stock market reacted to the news of a successful development of vaccine by Pfizer and Biontech on November 9, 2020. In particular, the study analyses the effect of the vaccine announcement on 11 sector indices and 79 subsector indices. A key contribution of the present study is to provide a deeper subsector level of analysis lacking in existing literature. An event study approach is applied in identifying abnormal returns due to the November 9th vaccine announcement. Several event periods (-1, 0, 1, 2, 3, 0-1, 0-3) are analysed to provide a more complete picture of the effects. Based on analysis, it is established that there are considerable inter and intra sectoral variations in the impact of the vaccine news. The results show that the impact follows a clear pattern. The sectors that were hit hardest by the pandemic such as energy, financials, as well as subsectors like hotels and casinos, benefited the most from positive vaccine news. Subsectors that gained from the pandemic such as airfreight, household appliances and computers and electronics retail were depressed the most by the news. These findings suggest that while the availability of vaccines is expected to help steer economies gradually to normalcy, the re-adjustment is likely to be asymmetric across subsectors. While some subsectors expect to expand as these industries recover from the contraction inflicted by the COVID-19 environment, other subsectors expect adjustment losses as these industries shed off the above average gains driven by the COVID-19 environment.


Conclusion section:
It's okay, but it could be better explained and motivated with a few more minor adjustments, please try to augment its quality with more in-depth investigation and analysis: a. I recommend to change the section title to (Conclusion and Policy Recommendations). b. "limitations, and further research" could be added Answer: Title is changed as recommended. Limitations and Further research has been improved.
8. The language of the paper: the language of the paper needs a careful editing by a native speaker.
Answer: Paper is proofread.
Additional comments: the author/s are recommended to do the following to increase the paper readability. 1. To start with, the paper should more clearly and more explicitly spell out its objectives. Answer: Objective section is rewritten. 2. Develop the literature review section of the article to include 3-5 latest journal references (2021-2022) and relevant extracts from them.

Answer:
Recently published papers about the topic are added.
3. Please, avoid placing tables or figures before their first mention in the text, and the analysis should always be below the figure or the table. Answer: Tables and figures are placed after they are mentioned. As there are many tables and some in the landscape format, majority of the tables are placed at the end of the paper as "Supporting Information." 4. Please avoid the following word/s; "our analysis" (please see p. 5), "our results" (please see p.8) , "our earlier results" (please see p.9). Please replace with "the present study………" or "the current study………"…etc. Answer: All changes are made.
5. Please be careful in using the abbreviations and abbreviated words throughout the paper. Answer: Abbreviations are removed. Only AR(Abnormal Return) and CAR (Cumulative Abnormal Return) are used throughout the paper.

Reviewer 2
From my point of view, it is a very interesting topic and simultaneously it seems that to the best of my knowledge is the first empirical research which explores how various sectors and subsectors of the US stock market react to the news of successful development of vaccine by Pfizer and Biontech on November 9, 2020. Based on eleven sector and eighty subsector indices of S&P 500, the authors establish that there are considerable inter and intra sectoral variations in the impact of the vaccine news, and that the impact follows a clear pattern. The paper contains the following sections: Introduction, Literature Review, Data, Methodology, Empirical Results and Discussion and Conclusion. However, I find some recommendations: 1. The abstract must contain the main purpose of the paper, the research method used in the research and the main contributions.
Answer: Abstract has been rewritten.
2. It would be very useful to add in the "Introduction" section the purpose, objectives and hypothesis of the research. I consider that a weak point of the paper is that the authors did not show the novelty of the paper compared to other works. That is why, I consider that the introduction should specify the novelty of the paper compared to other papers published in this area.
Answer: Introduction section has been rewritten including the points mentioned.
3. The research is well based on science and the results are in agreement with the theoretical part. The model applied to the analyzed data is correctly used in the analysis undertaken, it is a strength point of this paper. 4. At the same time, the authors are required to present Descriptive Statistics, Correlation matrix with all tests and indicators: standard deviation, Jarqe-Berra, Skewness and Kurtosis interpretation, Jarqe-Berra with probabilities analysis, etc.
Answer: Table 1 reports descriptive statistics (mean, standard deviation, minimum, maximum, skewness, kurtosis) and Jarque Berra Test statistics. In the Data section, there is interpretation of the statistics. Supporting information document is submitted separately reporting the Pearson Correlation Coefficients (requested) among main industries, and subsectors under each industry. However, note that our analysis is carried out using the market model and the computation of the abnormal returns is done sector (subsector) by sector (subsector). The correlation matrix of sectors (subsectors) does not therefore provide much addition information.
5. It is important to present the VIF test on multicollinearity between independent variables. Heteroskedasticity and endogeneity tests are also important in this study. All these aspects that are not found in the paper represent weaknesses of the research.

Answer:
On VIF: The event study analysis approach (market model) that we use involves the use of one independent variable (market index) at a time. Hence there is no element of multicollinearity. We do not therefore need to carry out VIF.
On endogeneity, our primary (and only) independent variable is market index. To test for endogeneity requires a good IV. As most literature generally show, it is not easy to get a good IV, and in particular it is a challenge to get a good instrument for market index. It is part of the reason event studies (market model) do not generally provide tests for endogeneirty. For this reason we do not provide endogeneity tests.
To check the heteroskedasticity, we have applied the Breusch-Pagan test on the residuals from our market model. The table below shows the p value of some of the tests. The null hypothesis of the tests states that there is generally a constant variance (homescedasticity). This indicates that generally there is no heteroskedasticity in market model regression and confirms the findings of our methodology. 7. Based on the data obtained, the conclusions must be extended.

Dependant
In conclusion, the article should be improve. It should also be enhanced with a review of the literature adequate to the subject and a broader interpretation and commentary of the research results.
Answer: Conclusion section has been rewritten and limitations of the research has been added.

Reviewer 3
In the underlined research topic "Winners and Losers from Pfizer and Biontech's Vaccine Announcement: Evidence from S&P 500 (Sub)Sector Indices" is a novel part to the existing literature. The title of the article is remarkable, the presentation is good and the article may provide several scientific justifications. Below are several suggestions which will increase writer input to technical research and probability.
1. The paper needs to be improved in all parts (justification of the contribution, conceptual background, the method). I hope you find the reviewers' comments helpful in developing the paper further. 7.To make the paper statistically strong, the authors should need to add more innovative techniques to make the results much clear. Answer: This section has been improved.
8.The results follow the methodology but the interpretation of tables and graphs need more quality presentation. Answer : Tables have been improved. 9.The results and discussion of the study is quite lengthy despite the importance of the information but if possible to eliminate some of the secondary information that does not disturb the quality of the research flow. Answer: Discussion section is improved.
10. A separate set of data is needed for the author. Answer: Data set will be submitted to the journal.
11.To write an equation, the author must adhere to a prescribed format. Answer: Equations are rewritten and referenced in the text.